EconStor Community:http://hdl.handle.net/10419/45646
Mon, 19 Mar 2018 14:45:51 GMT2018-03-19T14:45:51ZImplementing an approximate dynamic factor model to nowcast GDP using sensitivity analysishttp://hdl.handle.net/10419/175347
Title: Implementing an approximate dynamic factor model to nowcast GDP using sensitivity analysis
Authors: Duarte, Pablo; Süßmuth, Bernd
Abstract: Dynamic factor models based on Kalman Filter techniques are frequently used to nowcast GDP. This study deals with the selection of indicators for this practice. We propose a two-tiered mechanism which is shown in a case study to produce more accurate nowcasts than a benchmark stochastic process and a standard model including extreme bounds fragile indicators. Nowcasting accuracy nearly measures up to the one of real-time forecasts by an institution with an interest in high-quality nowcasts.Mon, 01 Jan 2018 00:00:00 GMThttp://hdl.handle.net/10419/1753472018-01-01T00:00:00ZWenig Unterschiede: Zur Treffsicherheit internationaler Prognosen und Prognostikerhttp://hdl.handle.net/10419/167319
Title: Wenig Unterschiede: Zur Treffsicherheit internationaler Prognosen und Prognostiker
Authors: Heilemann, Ullrich; Müller, KarstenSun, 01 Jan 2017 00:00:00 GMThttp://hdl.handle.net/10419/1673192017-01-01T00:00:00ZThe exchange rate susceptibility of European core industries, 1995-2010http://hdl.handle.net/10419/162135
Title: The exchange rate susceptibility of European core industries, 1995-2010
Authors: Leuwer, David; Süßmuth, Bernd
Abstract: This study investigates reactions to real exchange rate changes in the German, French and UK automobile and mechanical engineering sectors using monthly data from 1995 to 2010. Our findings indicate that EUR/USD appreciations hamper exports, but do not necessarily imply an aggravated business climate or export order-book assessment. This does not apply to the GBP/USD and corresponding time series for the UK. First and foremost, our fixed coefficient and time varying parameter VAR model estimates confirm the extraordinary role of the German key sectors, while currency union membership seems to play a minor role at best. Overall, the exchange rate susceptibility is less profound than claimed by lobbies and held as popular belief.Sun, 01 Jan 2017 00:00:00 GMThttp://hdl.handle.net/10419/1621352017-01-01T00:00:00ZMonetary policy and wandering overinvestment cycles in East Asia and Europehttp://hdl.handle.net/10419/162136
Title: Monetary policy and wandering overinvestment cycles in East Asia and Europe
Authors: Schnabl, Gunther
Abstract: The paper analyses the role of monetary policy for cyclical movements of investment and asset markets in East Asia and Europe based on a Mises-Hayek overinvestment framework. It is shown how the gradual global decline of interest rates has triggered wandering overinvestment cycles in Japan, Southeast Asia and China. Similarly, it is shown how a one-size monetary policy within the European Monetary Union has not preserved the European Monetary Union from idiosyncratic economic development and crisis because of uncoordinated fiscal policies. With monetary policy crisis management being argued to impede financial and economic restructuring, a timely exit from ultra-expansionary monetary policies is recommended for both East Asia and Europe to reconstitute economic stability and growth.Sun, 01 Jan 2017 00:00:00 GMThttp://hdl.handle.net/10419/1621362017-01-01T00:00:00Z